microprice
A Jax implementation of Micro-Price: A High Frequency Estimator of Future Prices.
Installation
pip install microprice
Usage
from microprice import MicroPriceEstimator, load_sample_data
mpe = MicroPriceEstimator(symbol="AAPL",
n_imbalances=10,
n_spread=2,
dt=1)
T = mpe.load(load_sample_data())
mpe.fit(T, iterations(6))
1 maintainer
Metadata
1 maintainer
Release files for microprice 0.1.1
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Source distribution (sdist)
| File | Size | Uploaded | Provenance | |
|---|---|---|---|---|
| microprice-0.1.1.tar.gz | 4.2 kB | Without provenance | Details |
Built distribution (wheel)
| File | Interpreter | ABI | Platform | Reset |
|---|---|---|---|---|
| microprice-0.1.1-py3-none-any.whl | Python 3 | none | any | Details |
Total release size: 8.7 kB
Release files / microprice-0.1.1.tar.gz
| Download URL | microprice-0.1.1.tar.gz |
|---|---|
| Size | 4.2 kB |
| Tags | Source |
|
SHA-256 checksum How to use checksums |
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No |
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twine/5.1.1 CPython/3.12.4
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Release files / microprice-0.1.1-py3-none-any.whl
| Download URL | microprice-0.1.1-py3-none-any.whl |
|---|---|
| Size | 4.5 kB |
| Tags | Python 3 |
|
SHA-256 checksum How to use checksums |
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BLAKE2b-256 checksum How to use checksums |
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Uploaded using Trusted Publishing? What is trusted publishing? |
No |
| Uploaded via |
twine/5.1.1 CPython/3.12.4
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Security for microprice 0.1.1
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